WARNING: This achievement description is not completely correct
First off, here's a link to all the *findable* collectibles in the game. Huge shouout to Hairy Gorilla for putting these up. Subscribe and like his videos as a thank you. https://www.youtube.com/playlist?list=PLLSa6U9VaQ5AixcZAmhF-...
Now that you have all of those, the OTHER part of the achievement requires you to unlock ALL the costumes and weapon skins for each character.
You will have the majority done after getting the findable collectibles, but you'll need to replay certain missions with certain characters to get everything else.
If you want to see which ones you still need, go to the main menu, scroll down to Knowing Is Half The Battle, and from there you can check each characters bio. Now, select a character and scroll over to the last tab (Alternative Looks). It will show you what skins you still need from there. As an aside, Snake Eyes alternate skin is the final one you need and it only unlocks after you've gotten everyone else's skins unlocked. Achievement pops once you collect them all.